Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0459
Annualized Std Dev 0.2062
Annualized Sharpe (Rf=0%) 0.2227

Row

Daily Return Statistics

Close
Observations 3451.0000
NAs 1.0000
Minimum -0.1205
Quartile 1 -0.0052
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0060
Maximum 0.1268
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0130
Skewness 0.0441
Kurtosis 18.0910

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0096
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.5130
Historical VaR (95%) -0.0174
Historical ES (95%) -0.0310
Modified VaR (95%) -0.0162
Modified ES (95%) -0.0162
From Trough To Depth Length To Trough Recovery
2007-05-23 2009-03-09 2013-04-10 -0.5130 1372 377 995
2020-02-19 2020-03-23 NA -0.3743 275 24 NA
2014-12-30 2015-09-04 2016-03-16 -0.1616 305 173 132
2017-12-01 2018-02-08 2018-10-19 -0.1476 223 47 176
2016-07-25 2016-11-11 2017-06-01 -0.1376 216 79 137

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA -0.1 0.4 0.3
2007 0.4 -0.9 -0.4 0.9 -0.7 0.1 2.3 0.6 0.4 -2.1 1.8 -1.2 1
2008 0.7 -3.3 2.7 0.8 -0.1 2.7 -2.4 -0.5 1.3 0.2 -0.9 4.2 5.2
2009 -2.6 -1.2 3.4 2.4 4 1.3 -0.4 0.5 -1.5 -0.2 1.7 -0.9 6.6
2010 0.8 1.2 1.3 0.4 -0.5 -1.2 -0.6 2.4 0.4 -0.4 0.9 0.2 5
2011 1 -0.6 0.1 0.4 -0.8 1 0.3 -0.5 0.4 -2.3 0.4 -0.1 -0.7
2012 0.6 0.3 0.4 0.5 0.1 0.8 -0.1 -0.1 -0.2 -0.3 0.9 0.3 3.2
2013 0.5 0 -0.2 -1 -1.1 -1.3 0.7 -0.1 0.6 0.5 0 0.1 -1.3
2014 0.7 0.8 -0.6 0.3 0.8 -0.7 0.3 0.7 0.2 0.2 -0.1 -3.3 -0.8
2015 -1.8 -0.1 0.4 0.3 0 0.4 1.2 -2.5 -0.4 0.5 0.7 -1 -2.2
2016 1.1 -0.4 0.1 0.6 0.3 0.1 -0.4 -0.6 -0.6 -1.9 -0.8 -0.5 -3.1
2017 -1.5 -0.6 0.1 -0.7 1 -0.1 0.5 -0.2 -0.2 -0.6 -0.3 -0.1 -2.7
2018 -0.7 -0.5 0.7 -0.4 -1.4 -0.2 -1.2 -0.6 -0.3 -0.2 1.2 0.2 -3.3
2019 -0.4 0.2 -0.8 -1.1 0.6 -0.3 1 0.2 -0.3 -0.1 -0.1 0.6 -0.5
2020 -0.3 -4 -5.6 -2.9 0.8 2.2 0.4 -1.3 0.6 -1.1 0.8 1.6 -8.8
2021 0.5 2.1 0.5 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy  ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>  <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-11-07  54.7 SPY    139. 0.0038   0.006    0.0261   0.0916    0.134    0.303    0.233 GLD    62.0  0.00240  0.0299 
2 2006-11-10  55.1 SPY    138. 0.0004   0.0125   0.0144   0.0876    0.121    0.315    0.226 GLD    62.5 -0.0073   0.003  
3 2006-11-13  55.3 SPY    139. 0.0025   0.0036   0.0143   0.0774    0.120    0.303    0.237 GLD    62.2 -0.00480  0.00480
4 2006-11-14  55.1 SPY    140. 0.0075   0.0073   0.0203   0.0757    0.129    0.313    0.219 GLD    61.6 -0.009   -0.0066 
5 2006-11-21  55.4 SPY    141. 0.001    0.0073   0.0231   0.0838    0.118    0.355    0.225 GLD    62.3  0.0081   0.0104 
6 2006-11-22  55.4 SPY    141. 0.002    0.0064   0.022    0.0869    0.116    0.352    0.236 GLD    62.5  0.0037   0.0107 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart